Selecting objects in collection
If you want the view to stay on a material or object settings regardless of what you have selected in the 3D window, try the pin icon (like the one next to the "New" texture button in your second and third images).

For baking to work, you must:


Have your low poly object UV unwrapped and also a new blank texture for it.
Select high poly first, and low poly second. You can Shift select in 3D window OR Ctrl select in Outliner view.
Make sure your texture node in low poly material is selected and that it has the new UV image in it.